RPT-Fitch Affirms VCL Master S.A.'S Compartment 1 Notes at 'AAAsf'; Outlook Stable

Mon Mar 25, 2013 6:37am EDT

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March 25 (Reuters) - (The following statement was released by the rating agency) Fitch Ratings has affirmed VCL Master S.A.'s notes issued under Compartment 1 as follows: EUR99m Series 2010-1 (ISIN: XS0480715464): affirmed at 'AAAsf'; Outlook Stable EUR99m Series 2010-2 (ISIN: XS0480715548): affirmed at 'AAAsf'; Outlook Stable EUR14.6m Series 2010-3 (ISIN: XS0480715977): affirmed at 'AAAsf'; Outlook Stable EUR122.3m Series 2010-4 (ISIN: XS0480716199): affirmed at 'AAAsf'; Outlook Stable EUR29.39m Series 2011-1 (ISIN: XS0606355799): affirmed at 'AAAsf'; Outlook Stable EUR48.2m Series 2011-2 (ISIN: XS0646441575): affirmed at 'AAAsf'; Outlook Stable EUR56m Series 2012-1 (ISIN: XS0857704976): affirmed at 'AAAsf'; Outlook Stable EUR42.1m Series 2012-2 (ISIN: XS0857705353): affirmed at 'AAAsf'; Outlook Stable EUR42.1m Series 2012-3 (ISIN: XS0857705866): affirmed at 'AAAsf'; Outlook Stable EUR98.8m Series 2012-4 (ISIN: XS0857706161): affirmed at 'AAAsf'; Outlook Stable KEY RATING DRIVERS The affirmation follows the purchase of receivables from VCL Master S.A.'s Compartment 1 for EUR750m. Receivables sold out of VCL Master Compartment 1 were sold by Volkswagen Leasing GmbH on the authority granted by VCL Master Compartment 1. Following the removal of assets, the portfolio has reduced to EUR777m from EUR1.53bn. As only performing receivables were subject to removal, the relative share of non-performing receivables in the pool has increased. However, this portfolio deterioration is captured by the redemption mechanism, which applies funds received from the sale of the receivables first to amortise the rated series of notes to a certain target level. Only the remaining portion is then used to amortise the sub-loan. The target level is calculated assuming losses of 14% for performing leases, 70.0% for delinquent contracts and 100% for terminated contracts. This redemption mechanism results in higher available credit enhancement since the rated notes redemption amount exceeds the sub-loan redemption amount in relative terms. As a result, the sub-loan increases to 20% (after removal of assets) from 16% (before removal of assets) as a percentage of the total series amount. Following the removal of the assets, the total available credit enhancement has risen to 22.0% from 16.8% before removal. Available credit enhancement consists of over-collateralisation through a sub-loan, a discount for over-collateralisation, the floor amount of the reserve fund and the funds in the accumulation account that can be used to purchase additional lease receivables. Credit enhancement is sized to protect noteholders against the credit risk of the underlying lease receivables, as well as seller risks such as commingling and tax risks. The current available credit enhancement exceeds the minimum credit enhancement of 13.6%. The transaction is a platform for Volkswagen Leasing GmbH (VWL) to securitise on a revolving basis German auto lease receivables originated during its ordinary course of business. VCL Master S.A. is a securitisation vehicle incorporated in Luxembourg. VWL is a wholly-owned subsidiary of Volkswagen Financial Services AG, which in turn is 100%-owned by Volkswagen AG ('A-'/Positive/'F2'). RATING SENSITIVITES The transaction is primarily sensitive to the performance of the underlying lessees that is mostly driven by the economic conditions in Germany. Should the unemployment rate or the corporate insolvency rate materially pick up, the transaction's default and loss rates may also increase. However, with credit enhancement well above our loss assumption, rating sensitivity is limited. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue report published on 22 March 2013 at www.fitchratings.com.

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